Pension Finance / Edition 1

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Overview

"Pension Finance is an up-to-date treatment of key challenges andopportunities in the retirement security arena, combininganalytical rigor in finance/statistics with anunderstanding ofreal-world pension institutions. The book will inform those seekingto understand capital markets as well as assetaccumulation/decumulation, and also pension managers charged withcorporate pension funding and risk management objectives."
Olivia S. Mitchell, Executive Director, PensionResearch Council, The Wharton School

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Editorial Reviews

From the Publisher
"Informative without being patronizing and set out in a logical sequence with each chapter containing questions to help the reader consolidate what they have just learnt." (Pensions Age, December 2006)

“What makes this book unique is the discussion of many pension specific subjects that are not covered in other books.” (Investments & Pensions Europe, March 2007)

"...this book provides a comprehensive and secure grounding in the theory and practice of finance." (Pensions World, July 2007)

 

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Product Details

  • ISBN-13: 9780470058435
  • Publisher: Wiley
  • Publication date: 12/14/2006
  • Edition number: 1
  • Pages: 484
  • Sales rank: 1,127,022
  • Product dimensions: 8.50 (w) x 5.50 (h) x 1.25 (d)

Meet the Author

Dr DAVID BLAKE is Professor of Pension Economics andDirector of the Pensions Institute at Cass Business School, London,and Chairman of Square Mile Consultants, a training and researchconsultancy. He was formerly Director of the Securities IndustryProgramme at City University Business School, Research Fellow atboth the London Business School and the London School of Economicsand Professor of Financial Economics at Birkbeck College,University of London. He is consultant to many organisations,including Merrill Lynch, Deutsche Bank, Union Bank of Switzerland,Paribas Capital Markets, McKinsey & Co., the Office of FairTrading, the Office for National Statistics, the GovernmentActuary’s Department, the National Audit Office, theDepartment for Work and Pensions, HM Treasury, the Bank of England,the Prime Minister’s Policy Directorate and the World Bank.In June 1996, he established the Pensions Institute, whichundertakes high-quality research on all pension-related issues andpublishes details of its research activities on the internet(http://www.pensions-institute.org.

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Table of Contents

Preface.

1 Investment Assets.Held by Pension Funds.

1.1 Money-market securities.

1.2 Bonds and loans.

1.3 Shares.

1.4 Collective investment vehicles.

1.5 Real assets.

1.6 Derivatives.

1.7 Alternative investments.

1.8 Socially responsible investment.

1.9 Global custody.

1.10 Different asset characteristics and uses.

1.11 Conclusion.

Questions.

References.

Appendix A: Standard deviation, value-at-risk andcorrelation.

2 Personal Finance: The Allocation of Personal Wealth toDifferent Asset Classes.

2.1 Introduction.

2.2 Modelling the allocation of personal wealth to differentasset classes.

2.3 Conclusion.

Questions.

References.

3 Corporate Pension Finance.

3.1 The valuation of pension liabilities: Differences betweenthe actuarial and economic approaches.

3.2 Pensions and the company balance sheet: Differences betweenthe accounting and economic approaches.

3.3 The asset allocation of the pension fund.

3.4 The relationship between the pension fund and the sponsoringcompany’s profitability, credit rating and share price.

3.5 Conclusion.

Questions.

References.

4 Defined Contribution Pension Schemes – TheAccumulation Phase.

4.1 The optimal design of DC schemes during the accumulationphase.

4.2 Charges.

4.3 Persistency.

4.4 Conclusions.

Questions.

Appendix A: Charges.

References.

5 Defined Contribution Pension Schemes – TheDistribution Phase.

5.1 Annuities.

5.2 The optimal design of DC schemes during the distributionphase.

5.3 Conclusion.

Questions.

References.

6 Defined Benefit Pension Schemes.

6.1 Types of defined benefit scheme.

6.2 Defined benefit liabilities.

6.3 The option composition of pension schemes.

6.4 Valuing the options.

6.5 The pension scheme preferences of members, sponsors and fundmanagers.

6.6 Conclusion.

Questions.

References.

7 Pension Fund Management.

7.1 The role of a pension fund.

7.2 The functions of a pension fund manager.

7.3 Fund management styles.

7.4 Different fund management strategies for defined benefit anddefined contribution schemes.

7.5 The fund manager’s relationship with the trustees.

7.6 Passive fund management.

7.7 Active fund management.

7.8 Asset-liability management.

7.9 The Myners review of institutional investment.

7.10 Conclusion.

Questions.

References.

Appendix A: Investment-objectives questionnaire.

Appendix B: Derivation of the optimal contribution rate andasset allocation in a defined benefit pension fund.

8 Pension Fund Performance Measurement andAttribution.

8.1 Ex-post returns.

8.2 Benchmarks of comparison for actively managed funds.

8.3 Risk-adjusted measure of portfolio performance for activelymanaged funds.

8.4 Performance attribution for actively managed funds.

8.5 Liability-driven performance attribution.

8.6 Realised investment performance.

8.7 Performance-related fund management fees.

8.8 How frequently should fund managers be assessed?.

8.9 Conclusions.

Questions.

References.

Appendix A: Deriving the power function.

9 Risk Management in Pension Funds.

9.1 The objective of hedging.

9.2 Hedging with futures.

9.3 Hedging with options.

9.4 Hedging with swaps.

9.5 Hedging longevity risk.

9.6 Conclusion.

Questions.

References.

10 Pension Fund Insurance.

10.1 The Pension Protection Fund.

10.2 What the Pension Protection Fund can learn from otherfinancial institutions and compensation schemes.

10.3 The risks facing the PPF.

10.4 Dealing with these risks.

10.5 Conclusion.

Questions.

References.

Appendix A: The Marcus (1987) and Vanderhei (1990) models.

Appendix A: Financial Arithmetic.

Appendix B: Yields and Yields Curves.

Appendix C: Duration and Convexity.

Index.

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